Help with generating correlated multipath

[Apollo Wong]

_____________________________________________
From: Apollo Wong
Sent: Friday, May 18, 2007 11:12 AM
To: '[hidden email]'
Subject: How to generate correlation multipath

Hi all,

 In version 0.3.4 I can use the QuantLib::MonteCarlo::MultipathGenerator(&drifts, &covariance, timelength, timestep, sggenerator) to do the job

 How do I do the same in version 0.4.0?  The interface seems to be changed significantly.  The onlything I can find about covariance in the documentation is for covariance(Time t0, const Array &x0, Time dt) which only give V(xto+dt|xto)  for StochasticProcessArray, which is not what I was looking for.

 Thanks.

 Sample code would be appricated.

Apollo

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[Luigi Ballabio]

On May 29, 2007, at 5:46 PM, Apollo Wong wrote:
>  In version 0.3.4 I can use the
> QuantLib::MonteCarlo::MultipathGenerator(&drifts, &covariance,
> timelength, timestep, sggenerator) to do the job
>
>  How do I do the same in version 0.4.0?

Hi Apollo,
        apologies for the delay.  In 0.4.0 and above, the covariance
information--or rather the correlation--must be included in the
StochasticProcess passed to the generator.  If you have N correlated
processes, you can create a StochasticProcessArray as

boost::shared_ptr<StochasticProcess> processArray(
     new StochasticProcessArray(processes, correlation));

and the multi-path generator as

MultiPathGenerator mpg(processArray, TimeGrid(timelength, timesteps),
gsgenerator);

after which mpg.next() will give you a correlated multipath for the
underlyings. Note that unlike in previous versions (in which the
multipath contained the variations between nodes) the multipath will
contain the actual values of the underlying at the different nodes.

Hope this helps,
        Luigi


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